Adcock, Chris, Landsman, Zinoviy and Shushi, Tomer (2019) 'Stein’s Lemma for generalized skew-elliptical random vectors.' Communications in Statistics: Theory and Methods, 50 (13). pp. 1-16.
Abstract
This paper generalizes Stein's Lemma recently obtained for elliptical class distributions to the generalized skew-elliptical family of distributions. Stein's Lemma provides a useful tool for deriving covariances between functions of component random variables. This Lemma has applications in finance, notably for portfolio selection and hence for the capital asset pricing model (CAPM), as well as technical applications such as the computation of moments. It also leads to important propositions concerning the mean and variance of generalized skew-elliptical variables.
| Item Type: | Journal Article |
|---|---|
| Keywords: | Density generator, multivariate generalized skew elliptical distributions, normal distributions, spherical distributions, Stein’s Lemma |
| SOAS Departments & Centres: | Departments and Subunits > School of Finance & Management |
| ISSN: | 03610926 |
| DOI (Digital Object Identifier): | https://doi.org/10.1080/03610926.2019.1678642 |
| Date Deposited: | 08 Mar 2021 18:38 |
| URI: | https://eprints.soas.ac.uk/id/eprint/34884 |
| Funders: | Other |
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